Scribd Logo
Upload

Welcome to Scribd!

  • Black Scholes Formulas: C SN (D1) - Xe - RTN (D2)

    Uploaded by

    girish1palariya
    25 views4 pages
    The document provides the Black-Scholes formulas for calculating the price of a call option. It includes the variables and parameters used in the Black-Scholes model such as the current stock price S, exercise price X, interest rate r, time to expiration T, and annual volatility σ. It then works through an example calculation of the call option price using the given values for S, X, r, T, and σ in the Black-Scholes formulas.

    Original Description:

    Original Title

    Black Scholes

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document provides the Black-Scholes formulas for calculating the price of a call option. It includes the variables and parameters used in the Black-Scholes model such as the current stock price S, exercise price X, interest rate r, time to expiration T, and annual volatility σ. It then works through an example calculation of the call option price using the given values for S, X, r, T, and σ in the Black-Scholes formulas.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    25 views4 pages

    Black Scholes Formulas: C SN (D1) - Xe - RTN (D2)

    Uploaded by

    girish1palariya
    The document provides the Black-Scholes formulas for calculating the price of a call option. It includes the variables and parameters used in the Black-Scholes model such as the current stock price S, exercise price X, interest rate r, time to expiration T, and annual volatility σ. It then works through an example calculation of the call option price using the given values for S, X, r, T, and σ in the Black-Scholes formulas.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 4

    BLACK SCHOLES FORMULAS

    C=SN(d1)-Xe^-rtN(d2)

    d1=lns/x+(r+σ^2/2)*T/σT^.5
    d2=d1-σT^.5

    σ(annual=σdaily*Namber of trading days per year^.5

    EXPIRE DATE 24-Dec-08


    SPOT PRICE S /DATE 3077.5 19-Dec-08
    EXERCIES PRICE X 2300
    RATE 0.1
    TIME 5

    Sigma daily 23-12-2008 3.128177


    Number of trading days per year^.5= 16 256^.5
    Sigma annual 50.050832
    σ% 0.50050832

    σ^2 0.2505085783892
    σ^2/2 0.1252542891946
    R 0.10
    (r+σ^2/2) 0.23
    Time 0.013698630137

    SPOT PRICE S 3077.5


    EXERCIES PRICE X 2300
    S/X 1.3380434782609
    LNs/x 0.2912084561414

    T^.5 0.1170411471961
    Sigma annual 50.050832 0.50050832
    σT^.5 0.058580067954

    (r+σ^2/2)*T 0.0030856751944
    Ins/x+(r+σ^2/2)*T 0.2942941313358
    D1 5.0237929318701
    D2 4.9652128639161

    SPOT PRICES 3077.5


    Cumulative normal distribution D1 0.9999997466957
    Cumulative normal distribution D2 0.9999996568712
    Xe^-rt 2296.8514720868

    C=SN(d1)-Xe^-rtN(d2) 780.648536485
    CHOLES FORMULAS
    P=Xe^-rtN(-d2)-SN(-d1)

    er of trading days per year^.5


    N(-D1) 2.53304288193E-07
    N(-D2) 3.43128787283E-07

    P=Xe^rtN(-d2)-SN(-d1) 8.57191327E-06

    You might also like